Const Notional Cross Currency Swaps

LICENSE.TXT

@@ -126,8 +126,8 @@ Copyright (C) 2015, 2016 Andres Hernandez
 Copyright (C) 2016 Nicholas Bertocchi
 Copyright (C) 2016 Stefano Fondi
 Copyright (C) 2016, 2017 Fabrice Lecuyer
+Copyright (C) 2016, 2018, 2020, 2022 Quaternion Risk Management Ltd
 Copyright (C) 2016, 2019, 2020 Eisuke Tani
-Copyright (C) 2016, 2020, 2022 Quaternion Risk Management Ltd
 
 Copyright (C) 2017 BN Algorithms Ltd
 Copyright (C) 2017 Joseph Jeisman

QuantLib.vcxproj

@@ -914,6 +914,9 @@
     <ClInclude Include="ql\instruments\cpicapfloor.hpp" />
     <ClInclude Include="ql\instruments\cpiswap.hpp" />
     <ClInclude Include="ql\instruments\creditdefaultswap.hpp" />
+    <ClInclude Include="ql\instruments\crossccybasisswap.hpp" />
+    <ClInclude Include="ql\instruments\crossccyfixfloatswap.hpp" />
+    <ClInclude Include="ql\instruments\crossccyswap.hpp" />
     <ClInclude Include="ql\instruments\dividendschedule.hpp" />
     <ClInclude Include="ql\instruments\doublebarrieroption.hpp" />
     <ClInclude Include="ql\instruments\doublebarriertype.hpp" />
@@ -1587,6 +1590,7 @@
     <ClInclude Include="ql\pricingengines\quanto\all.hpp" />
     <ClInclude Include="ql\pricingengines\quanto\quantoengine.hpp" />
     <ClInclude Include="ql\pricingengines\swap\all.hpp" />
+    <ClInclude Include="ql\pricingengines\swap\crossccyswapengine.hpp" />
     <ClInclude Include="ql\pricingengines\swap\cvaswapengine.hpp" />
     <ClInclude Include="ql\pricingengines\swap\discountingswapengine.hpp" />
     <ClInclude Include="ql\pricingengines\swap\discretizedswap.hpp" />
@@ -2195,6 +2199,9 @@
     <ClCompile Include="ql\instruments\cpicapfloor.cpp" />
     <ClCompile Include="ql\instruments\cpiswap.cpp" />
     <ClCompile Include="ql\instruments\creditdefaultswap.cpp" />
+    <ClCompile Include="ql\instruments\crossccybasisswap.cpp" />
+    <ClCompile Include="ql\instruments\crossccyfixfloatswap.cpp" />
+    <ClCompile Include="ql\instruments\crossccyswap.cpp" />
     <ClCompile Include="ql\instruments\doublebarrieroption.cpp" />
     <ClCompile Include="ql\instruments\doublebarriertype.cpp" />
     <ClCompile Include="ql\instruments\equitytotalreturnswap.cpp" />
@@ -2649,6 +2656,7 @@
     <ClCompile Include="ql\pricingengines\lookback\analyticcontinuouspartialfixedlookback.cpp" />
     <ClCompile Include="ql\pricingengines\lookback\analyticcontinuouspartialfloatinglookback.cpp" />
     <ClCompile Include="ql\pricingengines\lookback\mclookbackengine.cpp" />
+    <ClCompile Include="ql\pricingengines\swap\crossccyswapengine.cpp" />
     <ClCompile Include="ql\pricingengines\swap\cvaswapengine.cpp" />
     <ClCompile Include="ql\pricingengines\swap\discountingswapengine.cpp" />
     <ClCompile Include="ql\pricingengines\swap\discretizedswap.cpp" />

QuantLib.vcxproj.filters

@@ -834,6 +834,15 @@
     <ClInclude Include="ql\instruments\creditdefaultswap.hpp">
       <Filter>instruments</Filter>
     </ClInclude>
+    <ClInclude Include="ql\instruments\crossccybasisswap.hpp">
+      <Filter>instruments</Filter>
+    </ClInclude>
+    <ClInclude Include="ql\instruments\crossccyfixfloatswap.hpp">
+      <Filter>instruments</Filter>
+    </ClInclude>
+    <ClInclude Include="ql\instruments\crossccyswap.hpp">
+      <Filter>instruments</Filter>
+    </ClInclude>
     <ClInclude Include="ql\instruments\dividendschedule.hpp">
       <Filter>instruments</Filter>
     </ClInclude>
@@ -2730,6 +2739,9 @@
     <ClInclude Include="ql\pricingengines\swap\all.hpp">
       <Filter>pricingengines\swap</Filter>
     </ClInclude>
+    <ClInclude Include="ql\pricingengines\swap\crossccyswapengine.hpp">
+      <Filter>pricingengines\swap</Filter>
+    </ClInclude>
     <ClInclude Include="ql\pricingengines\swap\cvaswapengine.hpp">
       <Filter>pricingengines\swap</Filter>
     </ClInclude>
@@ -4793,6 +4805,15 @@
     <ClCompile Include="ql\instruments\creditdefaultswap.cpp">
       <Filter>instruments</Filter>
     </ClCompile>
+    <ClCompile Include="ql\instruments\crossccybasisswap.cpp">
+      <Filter>instruments</Filter>
+    </ClCompile>
+    <ClCompile Include="ql\instruments\crossccyfixfloatswap.cpp">
+      <Filter>instruments</Filter>
+    </ClCompile>
+    <ClCompile Include="ql\instruments\crossccyswap.cpp">
+      <Filter>instruments</Filter>
+    </ClCompile>
     <ClCompile Include="ql\instruments\europeanoption.cpp">
       <Filter>instruments</Filter>
     </ClCompile>
@@ -6038,6 +6059,9 @@
     <ClCompile Include="ql\pricingengines\bond\discretizedconvertible.cpp">
       <Filter>pricingengines\bond</Filter>
     </ClCompile>
+    <ClCompile Include="ql\pricingengines\swap\crossccyswapengine.cpp">
+      <Filter>pricingengines\swap</Filter>
+    </ClCompile>
     <ClCompile Include="ql\pricingengines\swap\cvaswapengine.cpp">
       <Filter>pricingengines\swap</Filter>
     </ClCompile>

ql/CMakeLists.txt

@@ -266,6 +266,9 @@ set(QL_SOURCES
     instruments/cpicapfloor.cpp
     instruments/cpiswap.cpp
     instruments/creditdefaultswap.cpp
+    instruments/crossccybasisswap.cpp
+    instruments/crossccyfixfloatswap.cpp
+    instruments/crossccyswap.cpp
     instruments/doublebarrieroption.cpp
     instruments/doublebarriertype.cpp
     instruments/equitytotalreturnswap.cpp
@@ -724,6 +727,7 @@ set(QL_SOURCES
     pricingengines/lookback/analyticcontinuouspartialfixedlookback.cpp
     pricingengines/lookback/analyticcontinuouspartialfloatinglookback.cpp
     pricingengines/lookback/mclookbackengine.cpp
+    pricingengines/swap/crossccyswapengine.cpp
     pricingengines/swap/cvaswapengine.cpp
     pricingengines/swap/discountingswapengine.cpp
     pricingengines/swap/discretizedswap.cpp
@@ -1343,6 +1347,9 @@ set(QL_HEADERS
     instruments/cpicapfloor.hpp
     instruments/cpiswap.hpp
     instruments/creditdefaultswap.hpp
+    instruments/crossccybasisswap.hpp
+    instruments/crossccyfixfloatswap.hpp
+    instruments/crossccyswap.hpp
     instruments/dividendschedule.hpp
     instruments/doublebarrieroption.hpp
     instruments/doublebarriertype.hpp
@@ -1966,6 +1973,7 @@ set(QL_HEADERS
     pricingengines/mclongstaffschwartzengine.hpp
     pricingengines/mcsimulation.hpp
     pricingengines/quanto/quantoengine.hpp
+    pricingengines/swap/crossccyswapengine.hpp
     pricingengines/swap/cvaswapengine.hpp
     pricingengines/swap/discountingswapengine.hpp
     pricingengines/swap/discretizedswap.hpp

ql/cashflows/overnightindexedcoupon.hpp

@@ -227,7 +227,6 @@ namespace QuantLib {
         OvernightLeg& withLockoutDays(Natural lockoutDays);
         OvernightLeg& withObservationShift(bool applyObservationShift = true);
         OvernightLeg& compoundingSpreadDaily(bool compoundSpreadDaily = true);
-        OvernightLeg& withLookback(const Period& lookback);
         OvernightLeg& withCaps(Rate cap);
         OvernightLeg& withCaps(const std::vector<Rate>& caps);
         OvernightLeg& withFloors(Rate floor);

ql/experimental/termstructures/crosscurrencyratehelpers.cpp

@@ -24,6 +24,7 @@
 #include <ql/cashflows/simplecashflow.hpp>
 #include <ql/cashflows/fixedratecoupon.hpp>
 #include <ql/experimental/termstructures/crosscurrencyratehelpers.hpp>
+#include <ql/pricingengines/swap/crossccyswapengine.hpp>
 #include <ql/utilities/null_deleter.hpp>
 #include <utility>
 
@@ -85,26 +86,6 @@ namespace QuantLib {
             return IborLeg(sch, idx).withNotionals(1.0).withPaymentLag(paymentLag);
         }
 
-        Leg buildFixedLeg(const Date& evaluationDate,
-                          const Period& tenor,
-                          Natural fixingDays,
-                          const Calendar& calendar,
-                          BusinessDayConvention convention,
-                          bool endOfMonth,
-                          Frequency paymentFrequency,
-                          const DayCounter& dayCount,
-                          Integer paymentLag) {
-
-            auto freqPeriod = Period(paymentFrequency);
-
-            Schedule sch = legSchedule(evaluationDate, tenor, freqPeriod, fixingDays, calendar,
-                                       convention, endOfMonth);
-            return FixedRateLeg(sch)
-                .withNotionals(1.0)
-                .withCouponRates(sample_fixed_rate, dayCount)
-                .withPaymentLag(paymentLag);
-        }
-
         std::pair<Real, Real>
         npvbpsConstNotionalLeg(const Leg& leg,
                                const Date& initialNotionalExchangeDate,
@@ -451,13 +432,48 @@ namespace QuantLib {
     }
 
     void ConstNotionalCrossCurrencySwapRateHelper::initializeDates() {
-        fixedLeg_ = buildFixedLeg(evaluationDate_, tenor_, fixingDays_, calendar_, convention_,
-                                  endOfMonth_, fixedFrequency_, fixedDayCount_, paymentLag_);
-        floatLeg_ = buildFloatingLeg(evaluationDate_, tenor_, fixingDays_, floatIndex_->fixingCalendar(),
-                                     floatIndex_->businessDayConvention(), endOfMonth_,
-                                     floatIndex_, floatIndex_->tenor().frequency(), paymentLag_);
+        auto overnightIndex = ext::dynamic_pointer_cast<OvernightIndex>(floatIndex_);
 
-        initializeDatesFromLegs(fixedLeg_, floatLeg_);
+        Period floatFreqPeriod;
+        if (floatIndex_->tenor().frequency() == NoFrequency) {
+            QL_REQUIRE(!overnightIndex, "Require payment frequency for overnight indices.");
+            floatFreqPeriod = floatIndex_->tenor();
+        } else {
+            floatFreqPeriod = Period(floatIndex_->tenor().frequency());
+        }
+
+        Real nominal = 1.0;
+        Schedule fixedSch = legSchedule(evaluationDate_, tenor_, Period(fixedFrequency_), fixingDays_, calendar_,
+                                       convention_, endOfMonth_);
+        Schedule floatSch = legSchedule(evaluationDate_, tenor_, floatFreqPeriod, fixingDays_, floatIndex_->fixingCalendar(),
+                                    floatIndex_->businessDayConvention(), endOfMonth_);
+
+        xccySwap_ = ext::make_shared<CrossCcyFixFloatSwap>(
+            CrossCcyFixFloatSwap::Type::Payer,
+            nominal,
+            Currency(), 
+            fixedSch,
+            sample_fixed_rate,
+            fixedDayCount_,
+            convention_,
+            paymentLag_,
+            calendar_,
+            nominal,
+            floatIndex_->currency(),
+            floatSch,
+            floatIndex_,
+            Spread(0.0),
+            floatIndex_->businessDayConvention(),
+            paymentLag_,
+            calendar_
+        );
+        auto engine = ext::make_shared<CrossCcySwapEngine>(
+            floatIndex_->currency(), floatingLegDiscountHandle(),
+            Currency(), fixedLegDiscountHandle(),
+            makeQuoteHandle(1.0), true);
+        xccySwap_->setPricingEngine(engine);
+
+        initializeDatesFromLegs(xccySwap_->leg(0), xccySwap_->leg(1));
     }
 
     const Handle<YieldTermStructure>&
@@ -473,16 +489,17 @@ namespace QuantLib {
     Real ConstNotionalCrossCurrencySwapRateHelper::impliedQuote() const {
         QL_REQUIRE(!termStructureHandle_.empty(), "term structure not set");
         QL_REQUIRE(!collateralHandle_.empty(), "collateral term structure not set");
-
-        auto [fixedNpv, fixedBps] = npvbpsConstNotionalLeg(
-            fixedLeg_, initialNotionalExchangeDate_, finalNotionalExchangeDate_, fixedLegDiscountHandle());
-
-        auto [floatNpv, floatBps] = npvbpsConstNotionalLeg(
-            floatLeg_, initialNotionalExchangeDate_, finalNotionalExchangeDate_, floatingLegDiscountHandle());
+        xccySwap_->deepUpdate();
+
+        const Spread basisPoint = 1.0e-4;
+        Real fixedNpv = xccySwap_->inCcyLegNPV(0);
+        Real fixedBps = xccySwap_->inCcyLegBPS(0);
+        Real floatNpv = xccySwap_->inCcyLegNPV(1);
 
         QL_REQUIRE(std::fabs(fixedBps) > 0.0, "null fixed-leg BPS");
+        auto impliedQuote = sample_fixed_rate + ((floatNpv + fixedNpv) / (-fixedBps / basisPoint));
 
-        return sample_fixed_rate + (floatNpv - fixedNpv) / fixedBps;
+        return impliedQuote;
     }
 
     void ConstNotionalCrossCurrencySwapRateHelper::accept(AcyclicVisitor& v) {

ql/experimental/termstructures/crosscurrencyratehelpers.hpp

@@ -26,6 +26,7 @@
 #define quantlib_crosscurrencyratehelpers_hpp
 
 #include <ql/termstructures/yield/ratehelpers.hpp>
+#include <ql/instruments/crossccyfixfloatswap.hpp>
 
 namespace QuantLib {
 
@@ -222,8 +223,7 @@ namespace QuantLib {
         ext::shared_ptr<IborIndex> floatIndex_;
         bool collateralOnFixedLeg_;
 
-        Leg fixedLeg_;
-        Leg floatLeg_;
+        ext::shared_ptr<CrossCcyFixFloatSwap> xccySwap_;
     };
 
 }

ql/instruments/Makefile.am

@@ -25,6 +25,9 @@ this_include_HEADERS = \
     cpicapfloor.hpp \
     cpiswap.hpp \
     creditdefaultswap.hpp \
+    crossccybasisswap.hpp \
+    crossccyfixfloatswap.hpp \
+    crossccyswap.hpp \
     dividendschedule.hpp \
     doublebarrieroption.hpp \
     doublebarriertype.hpp \
@@ -100,6 +103,9 @@ cpp_files = \
     cpicapfloor.cpp \
     cpiswap.cpp \
     creditdefaultswap.cpp \
+    crossccybasisswap.cpp \
+    crossccyfixfloatswap.cpp \
+    crossccyswap.cpp \
     doublebarrieroption.cpp \
     doublebarriertype.cpp \
     equitytotalreturnswap.cpp \

ql/instruments/all.hpp

@@ -20,6 +20,9 @@
 #include <ql/instruments/cpicapfloor.hpp>
 #include <ql/instruments/cpiswap.hpp>
 #include <ql/instruments/creditdefaultswap.hpp>
+#include <ql/instruments/crossccybasisswap.hpp>
+#include <ql/instruments/crossccyfixfloatswap.hpp>
+#include <ql/instruments/crossccyswap.hpp>
 #include <ql/instruments/dividendschedule.hpp>
 #include <ql/instruments/doublebarrieroption.hpp>
 #include <ql/instruments/doublebarriertype.hpp>